コード例 #1
0
        public FdmBermudanStepCondition(List <Date> exerciseDates,
                                        Date referenceDate,
                                        DayCounter dayCounter,
                                        FdmMesher mesher,
                                        FdmInnerValueCalculator calculator)
        {
            mesher_     = mesher;
            calculator_ = calculator;

            exerciseTimes_ = new List <double>();
            foreach (Date iter in exerciseDates)
            {
                exerciseTimes_.Add(
                    dayCounter.yearFraction(referenceDate, iter));
            }
        }
コード例 #2
0
        public static FdmStepConditionComposite vanillaComposite(DividendSchedule cashFlow,
                                                                 Exercise exercise,
                                                                 FdmMesher mesher,
                                                                 FdmInnerValueCalculator calculator,
                                                                 Date refDate,
                                                                 DayCounter dayCounter)
        {
            List <List <double> >           stoppingTimes  = new List <List <double> >();
            List <IStepCondition <Vector> > stepConditions = new List <IStepCondition <Vector> >();

            if (!cashFlow.empty())
            {
                FdmDividendHandler dividendCondition =
                    new FdmDividendHandler(cashFlow, mesher,
                                           refDate, dayCounter, 0);

                stepConditions.Add(dividendCondition);
                stoppingTimes.Add(dividendCondition.dividendTimes());
            }

            Utils.QL_REQUIRE(exercise.type() == Exercise.Type.American ||
                             exercise.type() == Exercise.Type.European ||
                             exercise.type() == Exercise.Type.Bermudan,
                             () => "exercise type is not supported");
            if (exercise.type() == Exercise.Type.American)
            {
                stepConditions.Add(new FdmAmericanStepCondition(mesher, calculator));
            }
            else if (exercise.type() == Exercise.Type.Bermudan)
            {
                FdmBermudanStepCondition bermudanCondition =
                    new FdmBermudanStepCondition(exercise.dates(),
                                                 refDate, dayCounter,
                                                 mesher, calculator);
                stepConditions.Add(bermudanCondition);
                stoppingTimes.Add(bermudanCondition.exerciseTimes());
            }

            return(new FdmStepConditionComposite(stoppingTimes, stepConditions));
        }
コード例 #3
0
 public FdmAmericanStepCondition(FdmMesher mesher, FdmInnerValueCalculator calculator)
 {
     mesher_     = mesher;
     calculator_ = calculator;
 }